By Sarah Lizee
Olympia, Wash., Feb. 26 – Barclays Bank plc priced $1.12 million of 0% dual directional buffered notes due March 11, 2020 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the index finishes at or above the initial level, the payout at maturity will be par plus the index return up to a maximum upside return of 7%.
If the index falls by up to 12.25%, the payout will be par plus the absolute value of the return.
If the index falls by more than the buffer, investors will lose 1.1396% for every 1% decline beyond 12.25%.
Barclays is the underwriter, and J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are placement agents.
| Issuer: | Barclays Bank plc
|
| Issue: | Dual directional buffered notes
|
| Underlying index: | S&P 500
|
| Amount: | $1.12 million
|
| Maturity: | March 11, 2020
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus any index gain, capped at 7%; par plus absolute value of return if index falls by up to 12.25%; 1.1396% loss for every 1% decline beyond 12.25%
|
| Initial level: | 2,792.67
|
| Buffer level: | 2,450.57, 87.75% of initial level
|
| Pricing date: | Feb. 22
|
| Settlement date: | Feb. 27
|
| Agents: | Barclays as underwriter with J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are placement agents
|
| Fees: | 1%
|
| Cusip: | 06747MF27
|
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